Gaussian Estimation of One-Factor Mean Reversion Processes

Freddy H. Marín Sánchez and J. Sebastian Palacio

Journal of Probability and Statistics, 2013, vol. 2013, 1-10

Abstract:

We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:239384

DOI: 10.1155/2013/239384

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